You are wrong on two counts. Firstly, DLLs and LIBs (static libraries) are very different beasts. The LIB you are talking about (I think) is the export library, which is simply a list of names in the DLL. This library is typically produced when the DLL is compiled and is shipped with the DLL if the DLL is intended to be linked to by other developers.
To use a DLL with a modern IDE (I don't use VS) you typically include the matching .LIB (export library) in the project. At run-time you must make sure the DLL is available to your program - the simplest way to do this is to put the DLL in the same directory as the executable.
And secondly, DLLs can be used with C++.